A new method for solving Kolmogorov equations in mathematical finance (Q2363532)
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scientific article; zbMATH DE number 6748836
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| English | A new method for solving Kolmogorov equations in mathematical finance |
scientific article; zbMATH DE number 6748836 |
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A new method for solving Kolmogorov equations in mathematical finance (English)
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19 July 2017
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The authors summarize research into the Fokker-Plank and Kolmogorov equations with application to calibration and valuation of models in finance. They propose an approach that combines a localization method and a mesh-free technique. Through several numerical examples benchmarking accuracy and convergence, they show the advantages of their algorithm, dubbed CoDeFi.
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Fokker-Plank equation
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Kolmogorov equation
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Monte Carlo
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option pricing
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0.7538918852806091
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0.7471787333488464
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0.7385237812995911
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0.7273298501968384
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0.7251754403114319
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